00000cmm a22000004i 4500 UP-99796217612497158 Buklod 20230222152041.0 m go j ta 221009s2002 xx d u (iLib)UPD-00264107631 DLC DMLF rda eng DMLUC HG 5770.5.A3 A25 2002eb Abidin, Zarina Zainal author The integration of East Asian equity markets by Zarina Zainal Abidin. Ann Arbor, MI ProQuest Dissertations & Theses Global [2002] 1 online resource (vii,195 leaves) text rdacontent computer rdamedia online resource rdacarrier Dissertation (Ph.D.)--Brown University, 2002. Includes bibliographical references (leaves 143-149). Preservation copy, access limited to Information Services and Instruction Section only. Access via Electronic Resources of the UPD University Library Website. "The dissertation comprises three essays on the East Asian market integration. Chapter 1 examines the differences in the degree of market integration for Indonesia, Korea, Malaysia, the Philippines, and Thailand for the pre-1997-crisis and the post-1997-crisis periods using a regime switching model for the period January 1986 to January 2001. The results suggest that three economies, which were ultimately rescued by the IMF, Indonesia, Korea, and Thailand, have become less integrated after the crisis. In contrast, the evidence suggests that Malaysia, which undertook capital control as a response to the crisis, is becoming more integrated in the post-crisis period. As for the Philippines' market, which has been under the supervision of the IMF for the past three decades, its degree of integration remains stable during the period under investigation. Chapter 2 examines the return and volatility spillover effects from the U.S. to Hong Kong market. A bivariate GARCH model is estimated within a Kalman filter framework on the daily returns for the Hang Seng and S&P500 indices for the period January 1, 1985 to January 31, 2001. The main finding of this chapter is that innovations from the U.S. market have greater impact on the returns than on the volatility of the Hong Kong market. Furthermore, the impact of the return spillover which has increased over the years, plays a significant role in the price determination of Hong Kong securities relative to local innovations. Chapter 3 examines the linkages between the Hong Kong and U.S. markets for the period January l, 1985 to January 31, 2001. Assuming high and low volatility regimes for the market returns, the nature of the correlations between the markets in the two regimes are examined. Furthermore, as a by-product of the two regime model, the interrelation between the probability of high volatility regime and the periods of recession is also considered. The key findings of this paper the correlations between the markets are higher during periods of high volatility and the probability of the low volatility regime in the Hong Kong market is correlated with U.S. GDP growth and not with Hong Kong GDP growth." Electronic books. Stock exchanges East Asia. East Asia Economic integration. East Asia Economic policy. Lumsdaine, Robin L. advisor. Brown University Department of Economics. Electronic Resource https://drive.google.com/file/d/1yXnySvn_1IwfL7MMjyvACjpM57EEQjOl/view Full text access requires UP Webmail login FO UPD DMLF HG 5770.5 A3 A25 2002 Electronic Resource